I updated my post, try out Host+D (Right Control +D) to see if it prompts for the install of guest additions. If it doesn't work, when I get home I can try to find your version of VBox and see if I can re-create the UI you're seeing.
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nerdwallerOct 31 '12 at 19:31

Did that work? I could try it tonight if no.
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nerdwallerNov 1 '12 at 5:11

@nerdwaller - the devices menu never showed for me, but I was able to load the Guest Additions via the VirtualBox Manager (loaded the CD .iso image) to the "storage" device. So that's in there and now unknown filesystem type is gone, but I'm getting protocol error instead. Any ideas on that?
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MikeNov 1 '12 at 12:31

That should prompt the download of Guest Additions and may open up the nautilus Window when the download is finished.

At that point, if it does not install automagically - you may need to open a terminal and navigate to that folder and execute the bash with

sudo ./whateverTheArchitectureTypeYouHaveIs.sh

It offered to do it automatically for me.

(note, it does require super user permissions in the guest os.)

Edit

Here is a windows screenshot (Version 4.2.4r81684 - however, I have seen the option since I can remember with VBox. Looks like others do not have menus either around the web, I'd like to disable mine for sure.), looks basically the same. You should be able to hit the Host+D keys to install them (sorry for overlooking that before). Host, by default, is Right Control.

Thanks for the detailed information, but can you tell me where you're getting the "Devices" menu from? If I understood you correctly it should have been in my Guest's "window". I launched the guest and took a screen shot of what I was seeing (see edit). I'm not finding a "Devices" tab. Are you running a different version?
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MikeOct 31 '12 at 12:27

Odd, in mine on W7, it looks similar to my screenshot above (from Virtualbox running on Arch). Try hitting your <HOST> + HOME on your keyboard (the default Host is Right Control) while in the VBOX. That should pop-up the menu-bar. Let me know if that does/doesn't work!
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nerdwallerOct 31 '12 at 13:54

Edit: I am an idiot. There is a shortcut straight to installing guest additions... Hit <HOST>+D (Right Control + D). No worries on the menus, give that a shot.
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nerdwallerOct 31 '12 at 13:59

+1 for the "Guest Additions". For some reason <HOST>+D didn't work, nor did the devices menu ever show. (I'll post an "answer" on how I got it working) but my mount still fails, for a different reason. :(
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MikeNov 1 '12 at 12:32

So as per nerdwaller's post, I did need to install Virtualbox Guest Additions to get the vboxsf type in there... I still don't know why this is needed with Ubuntu and not OpenSUSE, but that doesn't really matter too much I guess.

None of the previous suggestions actually worked to get the guest additions installed. What I ended up doing is pretty simple:

On the Oracle VM VirtualBox Manager, when you click the Ubuntu virtual machine, you can select "Settings". This opens the following window:

As seen here, I clicked on Storage then the main IDE Controller (it was set to nothing) and I updated the CD/DVD Drive to point to:
C:\Program Files\Oracle\VirtualBox\VBoxGuestAdditions.iso